Firefox only (Windows/Mac/Linux): Firefox extension Ghostery alerts you when you visit a web page that uses scripts to track your information and browsing habits.

The extension embeds itself into your status bar and shows you a list of all tracking scripts in a small notification rectangle in the upper right-hand corner of each page you visit. The idea is very useful in principle and fits right in with Data Privacy Day, but since the vast majority of web sites (including this one) are advertising supported, you'll see the notification on every page load if you keep it enabled, which can quickly get tiring—preferably, you could toggle the visibility of said window. Still, if you're worried about your privacy online, this extension is definitely for you.